Reexamining the time-varying volatility spillover effects: A Markov switching causality approach

North American Journal of Economics and Finance

Volumn 26, Issue , 2013, Pages 643-662

  Zheng, Tingguo ^a,b   Zuo, Haomiao ^c  

^a XIAMEN UNIVERSITY   (China)

^b RUTGERS UNIVERSITY   (United States)

^c CHN Life Asset Management Company Limited   (China)

Author keywords

Granger causality; Markov switching; Range; Volatility spillover

Indexed keywords

EID: 84888438481     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2013.05.001     Document Type: Article

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